Other Mathematics Commons^™

On The Existence, Uniqueness And Stability Of Solutions Of Sdes With State-Dependent Variable Exponent, Mustafa Avci

Journal of Stochastic Analysis

We study a time-inhomogeneous nonlinear SDE with drift and diffusion governed by state-dependent variable exponents. This framework generalizes models like the geometric Brownian motion (GBM) and the constant elasticity of variance (CEV), offering flexibility to capture complex dynamics while posing analytical challenges. Using a fixed-point approach, we prove existence and uniqueness, analyze higher-order moments, derive asymptotic estimates, and assess stability. Finally, we illustrate an application where Poisson’s equation admits a probabilistic representation via a timehomogeneous nonlinear SDE with state-dependent variable exponents.

Companion Matrices Associated To Stochastic Matrices, Andreas Boukas, Philip Feinsilver

Journal of Stochastic Analysis

Starting with a stochastic matrix, we study the behavior of powers of an associated companion matrix, which has the same characteristic polynomial as the original matrix. In general the companion matrix will have negative entries while maintaining rowsums equal to 1. We will find the growth rate even if the Ces`aro limit of the sums of the companion matrix diverge. Surprisingly, in the irreducible aperiodic case the powers of the companion matrix will converge even though the norm of the matrix exceeds 1 and it has possibly negative entries.

Z+-Valued Additive Processes In Law With Nonnegative Increments, Nadjib Bouzar

Journal of Stochastic Analysis

The goal of this article is to study in depth the subclass of Z+- valued additive processes in law with nonnegative increments. We establish key distributional properties of these processes and obtain some existence results under a variety of conditions. We show that they form a subclass of the family of inhomogeneous Markov chains with spatial homogeneity. We extend the notion of factoring introduced by Sato (2004, [9]) for Rd-valued additive processes in law to their Z+-valued counterparts with nonnegative increments. We give a sufficient condition for the existence of a factoring for these processes. Lastly, we obtain their representation …

A Stochastic Maximum Principle For Singular Mean-Field Regime-Switching Optimal Control, Maalvladedon Ganet Some, Edward Korveh

Journal of Stochastic Analysis

In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular and a singular control, and the coefficient associated with the singular component is allowed to be regime dependent. We derive both necessary and sufficient singular stochastic maximum principles. Because the regular control domain is not assumed to be convex, we employ the spike variation technique and obtain the necessary maximum principle by introducing a second-order adjoint process. As an application, we use the main theoretical results to …

Generalized Delayed Black–Scholes Formula, Bi Gole Hubert Le, Auguste Aman

Journal of Stochastic Analysis

The aim of this paper is to derive an explicit pricing formula for European options when the underlying asset follows a linear generalized delay differential equation in two distinct financial markets. The pricing methodology is based on the construction of an equivalent martingale measure using Girsanov’s theorem. Our models preserve both the no-arbitrage condition and market completeness. As such, this work extends the framework previously developed by Arriojas et al. in [16], providing a broader class of delay-based option pricing models.

Robust Optimal Consumption, Investment And Reinsurance For Recursive Preferences, Elizabeth Dadzie, Wilfried Kuissi Kamdem, Marcel Ndengo

Journal of Stochastic Analysis

This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer’s surplus follows the diffusion approximation of the Cramér-Lundberg model, and the insurer can purchase proportional reinsurance. Model ambiguity is characterised by a class of equivalent probability measures, and the insurer, being ambiguity-averse, aims to maximise utility under the worst-case scenario. By solving the associated coupled forward-backward stochastic differential equation (FBSDE), we derive closed-form solutions for the optimal strategies and the value function. Our analysis reveals how ambiguity aversion, risk aversion, and the elasticity of intertemporal substitution …

An Itô Integral For A Two-Sided Lévy Process, Raluca Balan, Jaime Garza

Journal of Stochastic Analysis

In this article, we construct an Itô integral with respect to a two-sided finite-variance Lévy process {L(x)}x∈R, without a Gaussian component. Using Rosenthal inequality for discrete-time martingales, we give an estimate for the p-th moment of this integral, for any even integer p ≥ 2. Then, using Poisson-Malliavin calculus, we show that the Itô integral is an extension of the Hitsuda-Skorokhod integral with respect to the compensated Poisson random measure associated to the Lévy process.

Supersymmetric Quantum Fields Via Quantum Probability, Radhakrishnan Balu

Journal of Stochastic Analysis

The super version of imprimitivity theorem is available now to describe global supersymmetry of systems using the representations of super Lie groups (SLG). This result uses the equivalence between super Harish- Chandra pairs and super Lie groups, at the categorical level, and is applicable to super Poincaré group and generalizes a smooth SI to super context. We apply the result to build supersymmetric quantum fields. Towards this end, we set up a super Fock space of a disjoint union of super Hilbert spaces which is equivalent to super tensoring of boson (even) part symmetrically and that of fermion (odd) part …

Convergence To Fractional Brownian Motion For Weighted Random Sums In Besov Space, Ibrahima Mendy

Journal of Stochastic Analysis

We consider infinite sums of weighted i.i.d. random variables, with finite variance and arbitrary distribution, and we derives conditions for the weak convergence in Besov space of normalized sums to fractional Brownian motion (fBm).

Pricing Variance Swaps Using Extended Heston Model, Semere Gebresilasie, Mulue Gebreslasie, Indranil Sengupta

Journal of Stochastic Analysis

Abstract. In this study, we introduce a variance swap for the underlying asset utilizing the Heston model, incorporating a long-term variance that is treated as a stochastic function of time. We develop a closed-form solution for the variance swap under this framework, where the log returns are driven by a compound Poisson process. Our analysis of historical data reveals that long-term variance is not constant; instead, it fluctuates over time, reflecting market dynamics more accurately. By integrating this time-varying long-term variance into the model, we achieve an improvement in prediction performance of approximately 60%. Furthermore, we perform model calibration using …

Constructing Orthonormal Bases With The Residuals Of Successive Approximations, An Introduction To Multiresolution Analysis, Elijah J. Guptill

Master's Theses

Wavelets and wavelet analysis are used in the study of signal processing, quantum field theory, functional analysis, multifractal analysis, and various other areas of mathematics. Multiresolution analysis provides a framework for building a wavelet basis of $\mathcal{L}^{2}(\mathbb{R})$ from a scaling function $\phi$, whose dyadic dilations and translations, $\{2^{j /2}\phi(2^{j}x-k):j,k\in \mathbb{Z}\}$, approximate $\mathcal{L}^{2}(\mathbb{R})$. One of the key properties of  $\phi$ is that it must satisfy $\phi(x)=\sum_{k\in \mathbb{Z}}{p_{k}2^{j /2}\phi(2^{j}x-k)}$ with respect to the norm on $\mathcal{L}^{2}(\mathbb{R})$. This equation is called a two-scale difference equation. Such equations enforce a regularity on the ordinary generating function $2^{-1 /2}\sum_{k\in \mathbb{Z}}{p_{k}z^{k}}$, known as the quadrature condition. …

A New Approach To Generate Combinatorial Patterns In Logical Analysis Of Data And Its Application To Predict College Retention, Salihah Ahmed E. Jaafari

Theses and Dissertations

Student retention and degree completion remain central challenges for higher-education institutions, with significant implications for student success, institutional effectiveness, and public accountability. While advances in predictive analytics have enabled earlier identification of students at risk of withdrawal, many commonly used machine learning approaches suffer from limited interpretability, constraining their practical usefulness for advising, intervention, and policy decision making. This dissertation addresses the problem of predicting student persistence by developing and evaluating optimization based, interpretable classification models within the Logical Analysis of Data (LAD) framework. Building on existing LAD formulations, this research introduces two novel pattern generation models, the Best Term …

On Links Between A Theorem Of Schoenberg, Rohlin Decompositions Of Measures, The Bochner-Minlos Theorem And The Fock Space, Daniel Alpay, Paula Cerejeiras, Palle Jorgensen, Uwe Kaehler

Mathematics, Physics, and Computer Science Faculty Articles and Research

The main goal of this paper is to gain new results in stochastics by drawing on, and combining, different areas that are normally not considered to be related. Thus, in this paper we extend the previous class of Gaussian-like functions ML which will allow for future generalized stochastic processes in infinite dimensional analysis. We show that an approach similar to the one by the classical Bochner-Minlos theorem for the white-noise case can be achieved by using Gaussian-like functions belonging to a large family -the ML_r classes (0 < r ≤∞). We show how Schoenberg’s theorem for positive definite functions on a Hilbert space allows to go beyond the classical setting of Bochner-Milnos theorem. Furthermore, we show that the application of the Rohlin’s disintegration theorem allows for a decomposition of the associated probability measures , see Theorems 3.2 and 4.3. We end this paper with several important examples of functions in these classes ML_r and provide some interesting counterexamples, e.g. Theorem 7.4, to get a …

Minimal Supersolution Of Bsdes Driven By Continuous Martingales In A General Filtration, Badr Elmansouri, Mohamed El Otmani

Journal of Stochastic Analysis

In this paper, we study minimal supersolutions of backward stochastic differential equations (BSDEs) driven by a continuous local martingale in a general filtration. We establish existence, uniqueness, and stability results under various mild conditions on the terminal value and the generator. Additionally, we explore the connection between the concept of non-linear expectation and minimal supersolutions, emphasizing the specific properties that are relevant to our framework. We also prove a general monotonic limit theorem and apply this result to determine the smallest constrained supersolution of a BSDE with a possibly non-convex constraint.

Arbitrage-Free Pricing With Diffusion-Dependent Jumps, Hamza A. Virk, Yihren Wu, Majnu John

Journal of Stochastic Analysis

Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend on contemporaneous diffusion movements. Unlike previous one-sided models that create arbitrage opportunities, our framework includes upward and downward jumps triggered by both large upward and large downward diffusion increments. We derive the explicit no-arbitrage condition linking the physical drift to model pa- rameters and market risk premia by constructing an Equivalent Martingale Measure using Girsanov’s theorem and a normalized Esscher transform. This condition provides a rigorous foundation for arbitrage-free pricing in models with diffusion-dependent jumps.

Evaluating Lunch Plan Data In The St. Charles School District (Scsd), Maddy Alexander, Guillermo Bilbao Olarreaga, Duncan Krige, Alyssa Schreiber, Nick Wintz, Wojciech Golik

The Confluence

The SCSD is a public school district in St. Charles, with, on average, 4500 students a year. The SCSD is subdivided into an early childhood center, six elementary schools, two intermediate (5-6,7-8) schools, and two high schools. Vocational schools are also within this district but were not included in this report. The SCSD is concerned with the impact of the Covid-19 pandemic on their district’s population and on the number of students that needed assistance with lunch. They have asked Lindenwood’s 2024-25 PIC Math group to analyze their data from the years 2020-25 and identify any trends. Identifying these trends …

Catalan And Hyper-Catalan Numbers: Combinatorial Applications To Polynomial Equations, Leilani Natale

Williams Honors College, Honors Research Projects

In this paper, we study Catalan numbers and their generalization, hyper-Catalan numbers, and explore how these sequences arise naturally in the context of solving polynomial equations using infinite power series. We begin by introducing the Catalan numbers through their combinatorial interpretation as triangulations of convex polygons. Using this geometric definition, we derive a relation whose recursive structure leads to a quadratic functional equation. Interpreting this relation as a formal power series equation allows us to express solutions to quadratic equations as infinite power series whose coefficients are given by the Catalan numbers. This framework is then extended by allowing polygon …

A Bdg Inequality For Stochastic Volterra Integrals, Alexandre Pannier

Journal of Stochastic Analysis

We establish Burkholder-Davis-Gundy-type inequalities for stochastic Volterra integrals with a completely monotone convolution kernel, which may exhibit singular behaviour at the origin. When the supremum is taken over a finite interval, the upper bound depends linearly on the Lγ-norm of the kernel, for any γ > 2. We demonstrate the utility of this inequality in quantifying the pathwise distance between two stochastic Volterra equations with distinct kernels, with a particular emphasis on the multifactor Markovian approximation. For kernels that decay sufficiently fast, we derive an alternative inequality valid over an infinite time interval, providing uniformin- time bounds for mean-reverting stochastic Volterra …

Sugar: A Sequence Unfolding Based Transformer Model For Group Activity Recognition, Yash U. Gondkar

Graduate Masters Theses

Large Language Models have improved significantly in the past couple of years due to the adoption of transformers. However, transformers still find it challenging to process videos due to limited context size caused by their quadratic computing cost. Therefore, we studied a booming field in machine learning which powers applications like social scene analysis and video surveillance systems called Group Activity Recognition (GAR). We found that recent models were able to achieve more than 90% accuracy on popular datasets like the Volleyball dataset, however, it turned out that even they relied on transformers.

Therefore, in this work, we developed a …

The Characteristic Function Of The Cube Of A Gaussian Random Variable, Andreas Boukas

Journal of Stochastic Analysis

Using the spectral resolution of the multiplication operator on the Schwartz class of L2(R,C), we compute the characteristic function of the cube of a Gaussian random variable.

Operator Information Quantities Of Semigroups Associated With Functions Of The Number Operator, Ryo Inayoshi, Kimiaki Saito

Journal of Stochastic Analysis

In this paper, we present recent developments on the operator information quantity acting on white noise functionals. In particular, we give a stochastic expression of the operator information quantity of a semigroup generated by some function of the number operator through a white noise delta distribution centered at an infinite dimensional Ornstein-Uhlenbeck process.

On Excursions Associated With A Certain Local Time Of Simple Symmetric Random Walks, With Applications, Takahiko Fujita, Naohiro Yoshida

Journal of Stochastic Analysis

In this note, some applications of excursions associated with a certain local time of simple symmetric random walks are presented. Specifically, the excursions are applied to calculate some probability distributions of interest regarding the random walks. Furthermore, a solution of the Skorokhod embedding problem for random walks is obtained through the excursions.

Banach Algebras And The Gelfand Theory Of Group Algebras On Locally Compact Abelian Groups, James Gabriel Bonvanie

Master's Theses

A Banach algebra is a complex algebra that is simultaneously a Banach space in which the norm is submultiplicative. Notably, $L^1(\mathbb{R})$ with the convolutional product is an Abelian, non-unital Banach algebra that admits an approximate identity. We rectify $L^1(\mathbb{R})$ lacking a unit via the unitization $L^1(\mathbb{R})\times\mathbb{C}$ with identity $(0,1)$. Unitization opens the discussion to the spectrum $\sigma(x)$ of a Banach algebra element, in which the spectrum is a nonempty, compact subset of the complex plane. The spectrum of an Abelian Banach algebra is fully characterized with multiplicative linear functionals, and we prove that the Fourier transform is the unique multiplicative …

The Jacod-Yor Theorem For Sigma Martingales And The Second Fundamental, Moritz Sohns

Journal of Stochastic Analysis

In this paper, we prove the Jacod-Yor Theorem for sigma martingales, a class of processes that generalize local martingales and play a pivotal role in financial mathematics. While the Jacod-Yor Theorem has been extensively studied for L2-martingales, martingales, and local martingales, no prior version exists for sigma martingales. Our result establishes the connection between sigma martingales and their martingale representation properties, addressing a critical gap in the literature. As an application, we prove the Second Fundamental Theorem of Asset Pricing for markets where price processes are modeled as sigma martingales.

Analyticity, Superoscillations And Supershifts In Several Variables, Fabrizio Colombo, Irene Sabadini, Daniele C. Struppa, Alain Yger

Mathematics, Physics, and Computer Science Faculty Articles and Research

Superoscillations have roots in various scientific disciplines, including optics, signal processing, radar theory, and quantum mechanics. This intriguing mathematical phenomenon permits specific functions to oscillate at a rate surpassing their highest Fourier component. A different way of thinking about superoscillations consists in realizing that it is possible to reproduce the exponential function far away from the origin by only knowing its value in a countable set of points near the origin. By using this perspective, one can extend the idea of superoscillations to functions that are not a sum of exponential functions, namely to the notion of supershift. The study …

Supershift Properties For Nonanalytic Signals, Fabrizio Colombo, Irene Sabadini, Daniele Carlo Struppa, Alain Yger

Mathematics, Physics, and Computer Science Faculty Articles and Research

The phenomenon of superoscillations is of great interest in microscopy, antenna design, and material sciences. This phenomenon has been generalized and has given rise to the concept of supershift, which is a far reaching extension that applies to functions that may present discontinuous derivatives. From this perspective, this is a notion that might have significant applications. This paper will provide an up to date report on the complex connections between the concept of supershift and that of analyticity.

My Tunisia Encounters: Inspiration For Some Mathematical Ideas, Hui-Hsiung Kuo

Journal of Stochastic Analysis

No abstract provided.

Gaussian Quantum Markov Semigroups In The Fock-Anti-Fock Representation Of Weyl Algebra, A Dhahri, Franco Fagnola, D Poletti, Hyun Jae Yoo

Journal of Stochastic Analysis

No abstract provided.

Stochastic Analysis And White Noise Calculus Of Nonlinear Wave Equations With Application To Laser Generation And Propagation, Sivaguru S. Sritharan, Saba Mudaliar

Journal of Stochastic Analysis

No abstract provided.

An Operator Information Quantity Of A Semigroup And Associated Differential Equations, Kimiaki Saito, Ryo Inayoshi

Journal of Stochastic Analysis

No abstract provided.